Marius Ötting, Rouven Michels, Roland Langrock, Christian Deutscher
{"title":"Demand for live betting: An analysis using state-space models","authors":"Marius Ötting, Rouven Michels, Roland Langrock, Christian Deutscher","doi":"10.1002/asmb.2836","DOIUrl":"10.1002/asmb.2836","url":null,"abstract":"<p>Sports betting markets have grown very rapidly recently, with the total European gambling market worth 98.6 billion euro in 2019. Considering a high-resolution (1 Hz) data set provided by a large European bookmaker, we investigate the demand for bet placements during matches and in particular the effect of news. Accounting for the general market activity level within a state-space modelling framework, we analyse the market's response to events such as goals (i.e., major news). Our results indicate that markets strongly react to news, but other factors, such as the day of the week and the uncertainty of outcome, also affect the stakes placed. We thus provide insights into the behaviour of bettors during matches, which can be relevant for bookmakers, for example to predict future revenues, but also for more specialised tasks such as fraud detection.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 2","pages":"527-541"},"PeriodicalIF":1.4,"publicationDate":"2024-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2836","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139385595","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Atilla Ay, Joshua Landon, Süleyman Özekici, Refik Soyer
{"title":"Bayesian analysis of Markov modulated queues with abandonment","authors":"Atilla Ay, Joshua Landon, Süleyman Özekici, Refik Soyer","doi":"10.1002/asmb.2839","DOIUrl":"10.1002/asmb.2839","url":null,"abstract":"<p>We consider a Markovian queueing model with abandonment where customer arrival, service and abandonment processes are all modulated by an external environmental process. The environmental process depicts all factors that affect the exponential arrival, service, and abandonment rates. Moreover, the environmental process is a hidden Markov process whose true state is not observable. Instead, our observations consist only of customer arrival, service, and departure times during some period of time. The main objective is to conduct Bayesian analysis in order to infer the parameters of the stochastic system, as well as some important queueing performance measures. This also includes the unknown dimension of the environmental process. We illustrate the implementation of our model and the Bayesian approach by using simulated and actual data on call centers.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 3","pages":"791-812"},"PeriodicalIF":1.4,"publicationDate":"2024-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139398011","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A dam management problem with energy production as an optimal switching problem","authors":"Etienne Chevalier, Cristina Di Girolami, M'hamed Gaïgi, Elisa Giovannini, Simone Scotti","doi":"10.1002/asmb.2840","DOIUrl":"10.1002/asmb.2840","url":null,"abstract":"<p>We consider an optimal stochastic control problem for a dam. Electrical power production is operating under an uncertain setting for electricity market prices and water level which has to be kept under control. Indeed, the water level inside the basin cannot exceed a certain threshold for safety reasons, and at the same time cannot decrease below another threshold in order to keep power production active. We model this situation as a mixed control problem with regular and switching controls under constraints. We characterize the value function as solution of an HJB equation and provide some numerical approximating methods. We shall illustrate by numerical examples the main achievements of the present approach.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 6","pages":"1596-1611"},"PeriodicalIF":1.3,"publicationDate":"2023-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2840","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139062442","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Correction to deep reinforcement learning-based ordering mechanism for performance optimization in multi-echelon supply chains","authors":"Dony S. Kurian, V. Madhusudanan Pillai","doi":"10.1002/asmb.2838","DOIUrl":"10.1002/asmb.2838","url":null,"abstract":"<p>This paper addresses and acknowledges the valuable feedback provided by Dr. Deniz Preil in response to the recent study conducted by Kurian et al which investigates the application of proximal policy optimization (PPO) to determine dynamic ordering policies within multi-echelon supply chains. The first comment raised by Dr. Preil motivated an examination of the training and evaluation procedures in Experiments 2, 3, and 4. The Experiments 2 and 3 were reworked to address this, allowing the seed to vary for every training iteration, resulting in refined outcomes while there was no need of reworking of Experiment 4. The second comment focused on the benchmarking strategies involving the 1-1 policy and the order-up-to (OUT) policy, clarifying the distinctions between the two policies and justifying the use of the 1-1 policy for benchmarking in Experiment 4. The implementation of the widely accepted OUT policy was explained, highlighting the meaningful rationale behind its use. These discussions aim to enhance the methodology employed by Kurian et al and strengthen the implications of the findings within the domain of supply chain ordering management.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 5","pages":"1455-1465"},"PeriodicalIF":1.3,"publicationDate":"2023-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139062161","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Fabio Antonelli, Roy Cerqueti, Alessandro Ramponi, Sergio Scarlatti
{"title":"Probabilistic and statistical methods in commodity risk management","authors":"Fabio Antonelli, Roy Cerqueti, Alessandro Ramponi, Sergio Scarlatti","doi":"10.1002/asmb.2841","DOIUrl":"10.1002/asmb.2841","url":null,"abstract":"","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 2","pages":"220-223"},"PeriodicalIF":1.4,"publicationDate":"2023-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139149631","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Bayesian change point prediction for downhole drilling pressures with hidden Markov models","authors":"Ochuko Erivwo, Viliam Makis, Roy Kwon","doi":"10.1002/asmb.2835","DOIUrl":"10.1002/asmb.2835","url":null,"abstract":"<p>In the drilling of oil wells, the need to accurately detect downhole formation pressure transitions has long been established as critical for safety and economics. In this article, we examine the application of Hidden Markov Models (HMMs) to oilwell drilling processes with a focus on the real time evolution of downhole formation pressures in its partially observed state. The downhole drilling pressure system can be viewed as a nonlinear, non-degrading stochastic process whose optimum performance is in a region in its warning state prior to random failure in time. The differential pressure system <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mrow>\u0000 <mo>(</mo>\u0000 <mrow>\u0000 <mo>∆</mo>\u0000 <mi>P</mi>\u0000 </mrow>\u0000 <mo>)</mo>\u0000 </mrow>\u0000 </mrow>\u0000 <annotation>$$ left(Delta Pright) $$</annotation>\u0000 </semantics></math> is modeled as a hidden 3 state continuous time Markov process. States 0 and 1 are not observable and represent the normally pressured (initiating <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mo>∆</mo>\u0000 <mi>P</mi>\u0000 </mrow>\u0000 <annotation>$$ Delta P $$</annotation>\u0000 </semantics></math>) and abnormally pressured or warning (reducing <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mo>∆</mo>\u0000 <mi>P</mi>\u0000 </mrow>\u0000 <annotation>$$ Delta P $$</annotation>\u0000 </semantics></math>) states respectively. State 2 is the observable failure state (from negative <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mo>∆</mo>\u0000 <mi>P</mi>\u0000 </mrow>\u0000 <annotation>$$ Delta P $$</annotation>\u0000 </semantics></math> and loss of well control). The signal process of the evolution of differential pressure <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mrow>\u0000 <mo>(</mo>\u0000 <mrow>\u0000 <mo>∆</mo>\u0000 <mi>P</mi>\u0000 </mrow>\u0000 <mo>)</mo>\u0000 </mrow>\u0000 </mrow>\u0000 <annotation>$$ left(Delta Pright) $$</annotation>\u0000 </semantics></math> is identified in the changes in the observable rate of penetration (ROP) encoded in drilling performance data. The state and observation parameters of the HMM are estimated using the Expectation Maximization (EM) algorithm and we show, for a univariate system with a depth dependent time relationship, that the model parameter updates of th","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 3","pages":"772-790"},"PeriodicalIF":1.4,"publicationDate":"2023-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2835","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138824342","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Erratum to “An improved Hotelling's T2 chart for monitoring a finite horizon process based on run rules schemes: A Markov-chain approach”","authors":"","doi":"10.1002/asmb.2833","DOIUrl":"10.1002/asmb.2833","url":null,"abstract":"<p>This article corrects the following:</p><p>In this research paper by Chew et al.,<span><sup>1</sup></span> on page 590, the funding information in the Acknowledgement is incorrect.</p><p>The correct funding information should be:</p><p>This work is funded by the Ministry of Higher Education Malaysia, Fundamental Research Grant Scheme [Grant Number: FRGS/1/2019/STG06/USM/02/5], for the project entitled “New Robust Adaptive Model for Coefficient of Variation in Infinite and Finite Horizon Processes.”</p><p>We apologise for this error.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 1","pages":"216"},"PeriodicalIF":1.4,"publicationDate":"2023-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2833","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138692524","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Qinglong Tian, Colin Lewis-Beck, Jarad B. Niemi, William Q. Meeker
{"title":"Rejoinder to “Specifying Prior Distribution in Reliability Applications”","authors":"Qinglong Tian, Colin Lewis-Beck, Jarad B. Niemi, William Q. Meeker","doi":"10.1002/asmb.2832","DOIUrl":"10.1002/asmb.2832","url":null,"abstract":"<p>We response to comments on our paper “Specifying Prior Distributions in Reliability Applications” in this rejoinder.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 1","pages":"130-143"},"PeriodicalIF":1.4,"publicationDate":"2023-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2832","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138561594","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Jordan L. Oakley, Matthew Forshaw, Pete Philipson, Kevin J. Wilson
{"title":"Examining the impact of critical attributes on hard drive failure times: Multi-state models for left-truncated and right-censored semi-competing risks data","authors":"Jordan L. Oakley, Matthew Forshaw, Pete Philipson, Kevin J. Wilson","doi":"10.1002/asmb.2829","DOIUrl":"10.1002/asmb.2829","url":null,"abstract":"<p>The ability to predict failures in hard disk drives (HDDs) is a major objective of HDD manufacturers since avoiding unexpected failures may prevent data loss, improve service reliability, and reduce data center downtime. Most HDDs are equipped with a threshold-based monitoring system named self-monitoring, analysis and reporting technology (SMART). The system collects several performance metrics, called SMART attributes, and detects anomalies that may indicate incipient failures. SMART works as a nascent failure detection method and does not estimate the HDDs' remaining useful life. We define critical attributes and critical states for hard drives using SMART attributes and fit multi-state models to the resulting semi-competing risks data. The multi-state models provide a coherent and novel way to model the failure time of a hard drive and allow us to examine the impact of critical attributes on the failure time of a hard drive. We derive dynamic predictions of conditional survival probabilities, which are adaptive to the state of the drive. Using a dataset of HDDs equipped with SMART, we find that drives are more likely to fail after entering critical states. We evaluate the predictive accuracy of the proposed models with a case study of HDDs equipped with SMART, using the time-dependent area under the receiver operating characteristic curve (AUC) and the expected prediction error (PE). The results suggest that accounting for changes in the critical attributes improves the accuracy of dynamic predictions.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 3","pages":"684-709"},"PeriodicalIF":1.4,"publicationDate":"2023-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/asmb.2829","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138492889","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Emilio Casanova Biscarri, Sophie Mercier, Carmen Sangüesa
{"title":"A model for stochastic dependence implied by failures among deteriorating components","authors":"Emilio Casanova Biscarri, Sophie Mercier, Carmen Sangüesa","doi":"10.1002/asmb.2831","DOIUrl":"10.1002/asmb.2831","url":null,"abstract":"<p>A system of <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>n</mi>\u0000 </mrow>\u0000 <annotation>$$ n $$</annotation>\u0000 </semantics></math> components is here considered, with component deterioration modeled by non decreasing time-scaled Lévy processes. When a component fails, a sudden change in the time-scaling functions of the surviving components is induced, which makes the components stochastically dependent. We compute the reliability function of coherent systems under this new dependence model. We next study the distribution of the ordered failure times, and establish some positive dependence properties. We also provide stochastic comparison results in the usual multivariate stochastic order between failure times of two dependence models with different parameters. Finally, some numerical experiments illustrate the theoretical results.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":"40 3","pages":"746-771"},"PeriodicalIF":1.4,"publicationDate":"2023-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138495049","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}